Nadia Massino did not marry Alfred Nobel - he died a bachelor in 1896 and according to the series, Reilly met her in the 20th century. Feliz Dzerzhinsky never met Reilly, and did not carry out the interrogation or execution. Reilly also was not connected with the forged letter that toppled the British government.
Reilly's family was originally Jewish; his father had converted to Christianity. The old man was actually born into the Islamic faith.
Mr. Neil plays Reilly with an English accent, but Reilly was from the Russian Empire and would have spoken with an accent similar to Bela Lugosi's.